Simplifying and generalizing some efficient frontier and CAPM related results

Steinar Ekern

No 2007/12, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

Abstract: This paper simplifies, generalizes, extends, surveys and unifies results related to the efficient frontier in portfolio analysis and to asset pricing formulations of the Capital Asset Pricing Model (CAPM) type. It derives the composition and properties of many central portfolios in portfolio analysis. It also discusses and provides several CAPM type formulations involving different portfolios. In particular, it states the tangency portfolio in an instructive and very simple way, focusing on similarities in going from the global minimum variance portfolio via a null index portfolio whose zero beta portfolio has a zero expected return. The Non-frontier zero beta, the Null index and the Augmented frontier CAPM versions supplement standard CAPM formulations. More importantly, the GMVP and the Benchmark versions of the CAPM do not rely on a zero beta portfolio, but require two betas.

Keywords: CAPM types; Roll's approach; tangency portfolio; GMVP; benchmark (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2007-03-27
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/11250/227273 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://hdl.handle.net/11250/227273 [302 Found]--> https://www.unit.no/brage-denne-lenken-er-ikke-lenger-gyldig [301 Moved Permanently]--> https://sikt.no/brage-denne-lenken-er-ikke-lenger-gyldig)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:nhhfms:2007_012

Access Statistics for this paper

More papers in Discussion Papers from Norwegian School of Economics, Department of Business and Management Science NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Stein Fossen ().